Can you download the zip by following the link in your browser?
If not, then you can't access a publicly available file over the internet from your setup, if you have IT support, seek it to understand what is blocking you... VPN, security...
If yes, then its specifically the R download that is an issue, I would try different download methods in R
make a note of your current method by :
getOption("download.file.method")
try different methods
Current download methods are "internal" , "wininet" (Windows only) "libcurl" , "wget" and "curl"
options(download.file.method = "curl")